I have been looking at some studies that use panel vector autoregression models. The problem is, I can't find which statistical package the authors use. I would like to estimate impulse responses in ...

I am researching the effects of Euroarea fiscal stimulus on inflation expectations during the crisis. The data for fiscal stimulus is given as an annual percentage of GDP, e.g. 1.5% of Euro Area GDP ...

I am trying to estimate the relationship between inequality and growth in a panel data of 22 countries for the period from 1985 to 2010, using fixed-effect and random effect. I want to use 5-year and ...

The idea is pretty simple, and I think it came out sort of by-the-way in a paper about something else, so I'm having a hard time figuring out who to cite.
Basically you've got a GLM (like a probit or ...

I am trying to build an economic model using multiple regression, and I am not sure how to remedy seasonal effects. I am collecting data across several different variables, and building three models ...

Inspired by the probit 2SLS estimation (see e.g. Wooldridge p.623, procedure 18.1 or check here probit two stage least squares), I am wondering if instead of running a Probit in the very first step, I ...

I have for 12 countries variables related to the trade of one specific commodity (production, consumption, import, export, trade costs, and international prices). The data range is 2000-2013 with a ...

I am trying to induce stationarity in this series. I have graphed a range-mean plot to detect 1st and 2nd moment nonstationarity. Can anyone suggest a transformation that will remedy the 2nd moment ...

My final dataset results from combining different databases,randomly choosing 150 agents and manually collecting data. In addition, it is a panel dataset and not all agents have observations in every ...

I have a panel-data sample which is not too large (1,973 observations). The unit of analysis is x (credit cards), which is grouped by y (say, individuals owning different credit cards). I cannot used ...

Consider the model $\Delta y_t =\beta_0+\beta_1 x_t+u_t$ where $u_t=\phi u_{t-1}+\varepsilon_t$; the $u_t$ are IID. If we write this in ADL form there are restrictions on the parameters. Why are the ...

I understand the explanation of the example of error-in-variables used wikipedia. What I do not understand is how could we explain intuitively the error-in-variables problem? One way would be to say ...

I'm working on a project that involves the use of a Heckman selection model (more specifically a Roy or move-stay model, which is essentially a two-sided Heckman) of the following form:
$$ Y_{i1} = ...

I am trying to understand the difference between fixed and random effects modelling. The panel data I have is in the form of basic longitudinal panel time series.
I know that I can use the Hauseman ...

I am working with a dataset where the dependent variable is $y$ (level of use of a line of credit) and the key independent variables are $x_1$ and $x_2$ (two different types of interest rates).
Some ...

We have a data set where our outcome of interest varies over 10 years, but the explanatory variable of interest and all of the potential confounders are time-invariant. I am quite certain that a panel ...

I am considering a regression discontinuity design (RD) where the "treatment" has a definite sorting rule (below the threshold, you are not fined - above the threshold, you are fined). The outcome I ...

I have a triple interaction: AxBxD, where A and B are continuous variables and D is a dummy. My regression is Y = A + B + AxB + AxD + AxBxD
In this case, do I HAVE TO include BxD also? In theory here ...

I'm a forth year economics student (undergraduate) and last semester I wrote a research paper, with a classmate, in which we analyzed the determinants of interprovincial migration flows in Canada. It ...

Today my professor told us about a recent estimator that non-parametrically estimates the elasticity of taxable income. I understood why doing this gets around problems of previous studies that use ...

Firstly, I'm sorry, if my question will come across as simple or even naive, but I have no formal background in statistics and I'm trying my best to learn it as much as I can, among other areas.
My ...